Wiener Spiral for Volatility Modeling (Q6090352)
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scientific article; zbMATH DE number 7764861
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Wiener Spiral for Volatility Modeling |
scientific article; zbMATH DE number 7764861 |
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Wiener Spiral for Volatility Modeling (English)
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14 November 2023
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fractional Brownian motion
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implied volatility
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leverage effect
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0.7953040599822998
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0.7933569550514221
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0.7817212343215942
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0.7804276347160339
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